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<p><span style="font-size: 32px; font-weight: bold;">目录</span></p>
<div class="code-chunk" data-id="code-chunk-id-0" data-cmd="toc"><div class="input-div"><div class="code-chunk-btn-group"><div class="run-btn btn btn-xs btn-primary"><span>▶︎</span></div><div class="run-all-btn btn btn-xs btn-primary">all</div></div><div class="status">running...</div></div><div class="output-div"></div></div><ul>
<li><a href="#1-%E6%9C%89%E4%BB%80%E4%B9%88%E7%94%A8">1、有什么用</a></li>
<li><a href="#2-%E8%BD%AF%E4%BB%B6%E6%93%8D%E4%BD%9C">2、软件操作</a></li>
<li><a href="#3-%E6%8E%92%E5%BA%8F%E6%8C%87%E6%A0%87%E7%BC%96%E5%86%99">3、排序指标编写</a></li>
</ul>
<hr>
<p><a href="https://www.bilibili.com/video/BV1Fd4y187hi/" target="_blank" style="font-size:16px;">视频教程</a></p>
<hr>
<h3 id="1-有什么用">1、有什么用 </h3>
<p>1.1、您是不是有这样的烦恼，每天都要看一下全市场品种的atr或涨幅排名，来找到当日适合自己的操作品种，大部分软件只有当天的一些指标排序，而不可以看一些自定义指标的强弱排名，如想看下均线角度强弱排名，还有其他很多自定义指标排名。现在鑫程序化交易系统就实现了这个功能，在程序化交易主工作区就可以对自定义的指标进行任意排序。</p>
<p>1.2、您还可以用这些指标来选择品种，如您的策略适合是做波动率大的合约，就可以对60（周期根据您的策略）日atr进行排序来选择atr强的品种。</p>
<hr>
<h3 id="2-软件操作">2、软件操作 </h3>
<p>打开允许排序开关：<br>
<img src="../img/%E6%8C%87%E6%A0%87%E6%8E%92%E5%BA%8F/%E8%87%AA%E5%AE%9A%E4%B9%89%E6%8C%87%E6%A0%87%E6%8E%92%E5%BA%8F4.png" alt="在这里插入图片描述"></p>
<p><img src="../img/%E6%8C%87%E6%A0%87%E6%8E%92%E5%BA%8F/%E8%87%AA%E5%AE%9A%E4%B9%89%E6%8C%87%E6%A0%87%E6%8E%92%E5%BA%8F1.png" alt="在这里插入图片描述"></p>
<p><img src="../img/%E6%8C%87%E6%A0%87%E6%8E%92%E5%BA%8F/%E8%87%AA%E5%AE%9A%E4%B9%89%E6%8C%87%E6%A0%87%E6%8E%92%E5%BA%8F2.png" alt="在这里插入图片描述"></p>
<p><img src="../img/%E6%8C%87%E6%A0%87%E6%8E%92%E5%BA%8F/%E8%87%AA%E5%AE%9A%E4%B9%89%E6%8C%87%E6%A0%87%E6%8E%92%E5%BA%8F3.png" alt="在这里插入图片描述"></p>
<hr>
<h3 id="3-排序指标编写">3、排序指标编写 </h3>
<pre data-role="codeBlock" data-info="python" class="language-python python"><code><span class="token comment">#!/usr/bin/env python</span>
<span class="token comment"># -*- coding: utf-8 -*-</span>
<span class="token keyword keyword-from">from</span> tool<span class="token punctuation">.</span>gongju <span class="token keyword keyword-import">import</span> <span class="token operator">*</span>
<span class="token keyword keyword-from">from</span> tool<span class="token punctuation">.</span>zhibiao <span class="token keyword keyword-import">import</span> ma_z<span class="token punctuation">,</span> ema_z<span class="token punctuation">,</span> atr_z

QJCS <span class="token operator">=</span> <span class="token punctuation">{</span><span class="token string">'atrzq'</span><span class="token punctuation">:</span> <span class="token number">5</span><span class="token punctuation">,</span> <span class="token string">'zfzq'</span><span class="token punctuation">:</span> <span class="token number">5</span><span class="token punctuation">,</span> <span class="token string">'pdzq'</span><span class="token punctuation">:</span> <span class="token number">2</span><span class="token punctuation">,</span> <span class="token string">'mazq'</span><span class="token punctuation">:</span> <span class="token number">20</span><span class="token punctuation">}</span>


<span class="token keyword keyword-def">def</span> 全局参数控制_v1<span class="token punctuation">(</span>cl<span class="token punctuation">)</span><span class="token punctuation">:</span>
    <span class="token triple-quoted-string string">"""
    此策略为指标排序全局参数控制
    """</span>
    <span class="token comment"># 数据提取区</span>
    Open <span class="token operator">=</span> cl<span class="token punctuation">.</span>klines<span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span><span class="token punctuation">.</span><span class="token builtin">open</span><span class="token punctuation">.</span>values  <span class="token comment"># 开盘价np列表</span>
    High <span class="token operator">=</span> cl<span class="token punctuation">.</span>klines<span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span><span class="token punctuation">.</span>high<span class="token punctuation">.</span>values   <span class="token comment"># 最高价np列表</span>
    Low <span class="token operator">=</span> cl<span class="token punctuation">.</span>klines<span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span><span class="token punctuation">.</span>low<span class="token punctuation">.</span>values  <span class="token comment"># 最低价np列表</span>
    Close <span class="token operator">=</span> cl<span class="token punctuation">.</span>klines<span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span><span class="token punctuation">.</span>close<span class="token punctuation">.</span>values  <span class="token comment"># 收盘价np列表，Close[-1]这样为最新价</span>

    <span class="token comment"># 参数设置区</span>
    ss <span class="token operator">=</span> cl<span class="token punctuation">.</span>jiaoyishezhi<span class="token punctuation">[</span><span class="token number">5</span><span class="token punctuation">]</span><span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span>  <span class="token comment"># 开仓数量</span>
    QJCS<span class="token punctuation">[</span><span class="token string">'atrzq'</span><span class="token punctuation">]</span> <span class="token operator">=</span> cl<span class="token punctuation">.</span>jiaoyishezhi<span class="token punctuation">[</span><span class="token number">5</span><span class="token punctuation">]</span><span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span>  <span class="token comment"># atr周期</span>
    QJCS<span class="token punctuation">[</span><span class="token string">'zfzq'</span><span class="token punctuation">]</span> <span class="token operator">=</span> cl<span class="token punctuation">.</span>jiaoyishezhi<span class="token punctuation">[</span><span class="token number">5</span><span class="token punctuation">]</span><span class="token punctuation">[</span><span class="token number">2</span><span class="token punctuation">]</span><span class="token operator">+</span><span class="token number">1</span>  <span class="token comment"># 求涨幅的周期</span>
    QJCS<span class="token punctuation">[</span><span class="token string">'pdzq'</span><span class="token punctuation">]</span> <span class="token operator">=</span> cl<span class="token punctuation">.</span>jiaoyishezhi<span class="token punctuation">[</span><span class="token number">5</span><span class="token punctuation">]</span><span class="token punctuation">[</span><span class="token number">3</span><span class="token punctuation">]</span>  <span class="token comment"># 求偏度周期</span>
    QJCS<span class="token punctuation">[</span><span class="token string">'mazq'</span><span class="token punctuation">]</span> <span class="token operator">=</span> cl<span class="token punctuation">.</span>jiaoyishezhi<span class="token punctuation">[</span><span class="token number">5</span><span class="token punctuation">]</span><span class="token punctuation">[</span><span class="token number">4</span><span class="token punctuation">]</span>  <span class="token comment"># 求角度均线周期</span>

    <span class="token comment"># 初始化持久化变量</span>
    <span class="token keyword keyword-if">if</span> <span class="token string">'cczt'</span> <span class="token keyword keyword-not">not</span> <span class="token keyword keyword-in">in</span> cl<span class="token punctuation">.</span>sjb<span class="token punctuation">:</span>  <span class="token comment"># 初始化时执行一次，用于初始化缓存字典</span>
        cl<span class="token punctuation">.</span>sjb<span class="token punctuation">[</span><span class="token string">'cczt'</span><span class="token punctuation">]</span> <span class="token operator">=</span> <span class="token number">0</span>  <span class="token comment"># 持仓状态记录</span>
        <span class="token comment"># 用于在软件右键策略字典中查看参数输入说明，和指标输出含义说明</span>
        cl<span class="token punctuation">.</span>sjb<span class="token punctuation">[</span><span class="token string">'参数说明'</span><span class="token punctuation">]</span> <span class="token operator">=</span> <span class="token punctuation">{</span><span class="token string">"1"</span><span class="token punctuation">:</span> <span class="token string">'策略开关及开仓数量'</span><span class="token punctuation">,</span> <span class="token string">'2'</span><span class="token punctuation">:</span> <span class="token string">'atr周期'</span><span class="token punctuation">,</span> <span class="token string">'3'</span><span class="token punctuation">:</span> <span class="token string">'求涨幅的周期'</span><span class="token punctuation">,</span> <span class="token string">'4'</span><span class="token punctuation">:</span> <span class="token string">'求偏度周期'</span><span class="token punctuation">,</span> <span class="token string">'5'</span><span class="token punctuation">:</span> <span class="token string">'求角度均线周期'</span><span class="token punctuation">}</span>
        cl<span class="token punctuation">.</span>sjb<span class="token punctuation">[</span><span class="token string">'输出指标说明'</span><span class="token punctuation">]</span> <span class="token operator">=</span> <span class="token punctuation">{</span><span class="token string">"指标1"</span><span class="token punctuation">:</span> <span class="token string">'n日atr'</span><span class="token punctuation">,</span> <span class="token string">'指标2'</span><span class="token punctuation">:</span> <span class="token string">'n日涨幅'</span><span class="token punctuation">,</span> <span class="token string">'指标3'</span><span class="token punctuation">:</span> <span class="token string">'收盘价偏度'</span><span class="token punctuation">,</span> <span class="token string">'指标4'</span><span class="token punctuation">:</span> <span class="token string">'n日均线角度'</span><span class="token punctuation">}</span>

    <span class="token keyword keyword-return">return</span> <span class="token string">'w'</span><span class="token punctuation">,</span>  <span class="token string">'w'</span><span class="token punctuation">,</span> <span class="token string">'w'</span><span class="token punctuation">,</span> <span class="token string">'w'</span>


<span class="token keyword keyword-def">def</span> atr和涨幅排序_v1<span class="token punctuation">(</span>cl<span class="token punctuation">)</span><span class="token punctuation">:</span>
    <span class="token triple-quoted-string string">"""
    下面是计算n周期波动率、n周期涨幅、n周期偏度和n周期均线角度的指标

    :param cl策略类
    :param cl.klines: k线数据，为df表，0层数据用klines[0]表示
    :param cl.openingdata: 交易数据，为字典，里面有持仓状态，理论持仓数量，开仓价格，开仓时间等
    :param cl.zhanghu: 账户列表
    :param cl.jiaoyishezhi: 为交易设置数据，算法交易，交易合约，其他功能参数都在里面
    :param cl.jiaoyiqidong: 是否启动了交易，为TRUS表示启动
    :return: 输出要在软件上显示的指标
    """</span>
    <span class="token comment"># 数据提取区</span>
    Open <span class="token operator">=</span> cl<span class="token punctuation">.</span>klines<span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span><span class="token punctuation">.</span><span class="token builtin">open</span><span class="token punctuation">.</span>values  <span class="token comment"># 开盘价np列表</span>
    High <span class="token operator">=</span> cl<span class="token punctuation">.</span>klines<span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span><span class="token punctuation">.</span>high<span class="token punctuation">.</span>values   <span class="token comment"># 最高价np列表</span>
    Low <span class="token operator">=</span> cl<span class="token punctuation">.</span>klines<span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span><span class="token punctuation">.</span>low<span class="token punctuation">.</span>values  <span class="token comment"># 最低价np列表</span>
    Close <span class="token operator">=</span> cl<span class="token punctuation">.</span>klines<span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span><span class="token punctuation">.</span>close<span class="token punctuation">.</span>values  <span class="token comment"># 收盘价np列表，Close[-1]这样为最新价</span>

    <span class="token comment"># 参数设置区</span>
    ss <span class="token operator">=</span> cl<span class="token punctuation">.</span>jiaoyishezhi<span class="token punctuation">[</span><span class="token number">5</span><span class="token punctuation">]</span><span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span>  <span class="token comment"># 开仓数量</span>
    <span class="token comment"># atrzq1 = cl.jiaoyishezhi[5][1]  # atr周期</span>
    <span class="token comment"># zfzq2 = cl.jiaoyishezhi[5][2]+1  # 求涨幅的周期</span>
    <span class="token comment"># pianduzq = cl.jiaoyishezhi[5][3]  # 求偏度周期</span>
    <span class="token comment"># mazq = cl.jiaoyishezhi[5][4]  # 求角度均线周期</span>

    atrzq1 <span class="token operator">=</span> QJCS<span class="token punctuation">[</span><span class="token string">'atrzq'</span><span class="token punctuation">]</span>  <span class="token comment"># atr周期</span>
    zfzq2 <span class="token operator">=</span> QJCS<span class="token punctuation">[</span><span class="token string">'zfzq'</span><span class="token punctuation">]</span>  <span class="token comment"># 求涨幅的周期</span>
    pianduzq <span class="token operator">=</span> QJCS<span class="token punctuation">[</span><span class="token string">'pdzq'</span><span class="token punctuation">]</span>  <span class="token comment"># 求偏度周期</span>
    mazq <span class="token operator">=</span> QJCS<span class="token punctuation">[</span><span class="token string">'mazq'</span><span class="token punctuation">]</span>  <span class="token comment"># 求角度均线周期</span>

    <span class="token comment"># 初始化持久化变量</span>
    <span class="token keyword keyword-if">if</span> <span class="token string">'cczt'</span> <span class="token keyword keyword-not">not</span> <span class="token keyword keyword-in">in</span> cl<span class="token punctuation">.</span>sjb<span class="token punctuation">:</span>  <span class="token comment"># 初始化时执行一次，用于初始化缓存字典</span>
        cl<span class="token punctuation">.</span>sjb<span class="token punctuation">[</span><span class="token string">'cczt'</span><span class="token punctuation">]</span> <span class="token operator">=</span> <span class="token number">0</span>  <span class="token comment"># 持仓状态记录</span>
        <span class="token comment"># 用于在软件右键策略字典中查看参数输入说明，和指标输出含义说明</span>
        cl<span class="token punctuation">.</span>sjb<span class="token punctuation">[</span><span class="token string">'参数说明'</span><span class="token punctuation">]</span> <span class="token operator">=</span> <span class="token punctuation">{</span><span class="token string">"1"</span><span class="token punctuation">:</span> <span class="token string">'策略开关及开仓数量'</span><span class="token punctuation">,</span> <span class="token string">'2'</span><span class="token punctuation">:</span> <span class="token string">'atr周期'</span><span class="token punctuation">,</span> <span class="token string">'3'</span><span class="token punctuation">:</span> <span class="token string">'求涨幅的周期'</span><span class="token punctuation">,</span> <span class="token string">'4'</span><span class="token punctuation">:</span> <span class="token string">'求偏度周期'</span><span class="token punctuation">,</span> <span class="token string">'5'</span><span class="token punctuation">:</span> <span class="token string">'求角度均线周期'</span><span class="token punctuation">}</span>
        cl<span class="token punctuation">.</span>sjb<span class="token punctuation">[</span><span class="token string">'输出指标说明'</span><span class="token punctuation">]</span> <span class="token operator">=</span> <span class="token punctuation">{</span><span class="token string">"指标1"</span><span class="token punctuation">:</span> <span class="token string">'n日atr'</span><span class="token punctuation">,</span> <span class="token string">'指标2'</span><span class="token punctuation">:</span> <span class="token string">'n日涨幅'</span><span class="token punctuation">,</span> <span class="token string">'指标3'</span><span class="token punctuation">:</span> <span class="token string">'收盘价偏度'</span><span class="token punctuation">,</span> <span class="token string">'指标4'</span><span class="token punctuation">:</span> <span class="token string">'n日均线角度'</span><span class="token punctuation">}</span>

    <span class="token comment"># 指标计算区</span>
    atr1 <span class="token operator">=</span> atr_z<span class="token punctuation">(</span>High<span class="token punctuation">,</span> Low<span class="token punctuation">,</span> Open<span class="token punctuation">,</span> atrzq1<span class="token punctuation">)</span>
    atr1 <span class="token operator">=</span> <span class="token builtin">round</span><span class="token punctuation">(</span>atr1<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">1</span><span class="token punctuation">]</span><span class="token operator">/</span>Close<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">1</span><span class="token punctuation">]</span><span class="token operator">*</span><span class="token number">100</span><span class="token punctuation">,</span> <span class="token number">2</span><span class="token punctuation">)</span>
    涨幅 <span class="token operator">=</span> <span class="token builtin">round</span><span class="token punctuation">(</span><span class="token punctuation">(</span>Close<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">1</span><span class="token punctuation">]</span><span class="token operator">-</span>Close<span class="token punctuation">[</span><span class="token operator">-</span>zfzq2<span class="token punctuation">]</span><span class="token punctuation">)</span><span class="token operator">/</span>Close<span class="token punctuation">[</span><span class="token operator">-</span>zfzq2<span class="token punctuation">]</span><span class="token operator">*</span><span class="token number">100</span><span class="token punctuation">,</span> <span class="token number">2</span><span class="token punctuation">)</span>
    s1 <span class="token operator">=</span> pd<span class="token punctuation">.</span>Series<span class="token punctuation">(</span>Close<span class="token punctuation">[</span><span class="token operator">-</span>pianduzq<span class="token punctuation">:</span><span class="token punctuation">]</span><span class="token punctuation">)</span>  <span class="token comment"># 转换数据类型</span>
    偏度 <span class="token operator">=</span> <span class="token builtin">round</span><span class="token punctuation">(</span>s1<span class="token punctuation">.</span>skew<span class="token punctuation">(</span><span class="token punctuation">)</span><span class="token punctuation">,</span> <span class="token number">3</span><span class="token punctuation">)</span>  <span class="token comment"># 求偏度</span>
    ma <span class="token operator">=</span> ma_z<span class="token punctuation">(</span>Close<span class="token punctuation">,</span> mazq<span class="token punctuation">)</span>
    均线角度 <span class="token operator">=</span> <span class="token builtin">round</span><span class="token punctuation">(</span>math<span class="token punctuation">.</span>atan<span class="token punctuation">(</span><span class="token punctuation">(</span>ma<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token operator">/</span> ma<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">3</span><span class="token punctuation">]</span> <span class="token operator">-</span> <span class="token number">1</span><span class="token punctuation">)</span><span class="token operator">*</span><span class="token number">100</span><span class="token punctuation">)</span><span class="token operator">*</span><span class="token number">180</span> <span class="token operator">/</span> <span class="token number">3.1415926</span><span class="token punctuation">,</span> <span class="token number">3</span><span class="token punctuation">)</span>

    <span class="token keyword keyword-return">return</span> atr1<span class="token punctuation">,</span>  涨幅<span class="token punctuation">,</span> 偏度<span class="token punctuation">,</span> 均线角度


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